The Leja method revisited: backward error analysis for the matrix exponential
Numerical Analysis
2016-07-15 v2
Abstract
The Leja method is a polynomial interpolation procedure that can be used to compute matrix functions. In particular, computing the action of the matrix exponential on a given vector is a typical application. This quantity is required, e.g., in exponential integrators. The Leja method essentially depends on three parameters: the scaling parameter, the location of the interpolation points, and the degree of interpolation. We present here a backward error analysis that allows us to determine these three parameters as a function of the prescribed accuracy. Additional aspects that are required for an efficient and reliable implementation are discussed. Numerical examples that illustrate the performance of our Matlab code are included.
Keywords
Cite
@article{arxiv.1506.08665,
title = {The Leja method revisited: backward error analysis for the matrix exponential},
author = {Marco Caliari and Peter Kandolf and Alexander Ostermann and Stefan Rainer},
journal= {arXiv preprint arXiv:1506.08665},
year = {2016}
}